Claude Fable 7-19-26

Asset Allocation

Position	Category/Sector	Target Weight
IVV iShares Core S&P 500 ETF	S&P 500	21.84%
SGOV iShares 0-3 Month Treasury Bond ETF	Ultrashort Bond	12.93%
JAAA Janus Henderson AAA CLO ETF	CLO	10.76%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	Inflation-Protected Bonds	10%
VYMI Vanguard International High Dividend Yield ETF	Dividend, Foreign Large Cap Equities	10%
VGIT Vanguard Intermediate-Term Treasury ETF	Government Bonds	8%
SCHD Schwab U.S. Dividend Equity ETF	Dividend	7.31%
VCSH Vanguard Short-Term Corporate Bond ETF	Corporate Bonds	5.12%
VTV Vanguard Value ETF	Large Cap Value Equities	4.47%
VEU Vanguard FTSE All-World ex-US ETF	Foreign Large Cap Equities	3.73%
VGPMX Vanguard Global Capital Cycles Fund	Global Equities	3.08%
VPMCX Vanguard PRIMECAP Fund Investor Shares	Large Cap Growth Equities	2.76%

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Claude Fable 7-19-26, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.

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Returns By Period

Position	1D	1M	6M	YTD	1Y	3Y*	5Y*	10Y*	ALL TIME*
Benchmark S&P 500 Index	-0.19%	-0.76%	7.25%	8.73%	18.21%	17.95%	11.30%	13.09%	8.08%
Portfolio Claude Fable 7-19-26	-0.20%	-0.06%	6.20%	7.98%	15.63%	12.66%	8.40%	—	9.94%
Portfolio components:
IVV iShares Core S&P 500 ETF	-0.18%	-0.63%	7.87%	9.40%	19.60%	19.51%	12.87%	14.95%	8.43%
JAAA Janus Henderson AAA CLO ETF	0.00%	0.30%	2.03%	2.37%	4.95%	6.30%	4.84%	—	4.52%
SCHD Schwab U.S. Dividend Equity ETF	-0.49%	3.61%	15.19%	21.36%	25.66%	13.54%	9.15%	12.32%	13.25%
SGOV iShares 0-3 Month Treasury Bond ETF	0.01%	0.29%	1.80%	1.99%	3.87%	4.64%	3.63%	—	2.96%
VCSH Vanguard Short-Term Corporate Bond ETF	-0.10%	0.10%	0.78%	0.82%	3.73%	5.46%	2.34%	2.64%	2.90%
VEU Vanguard FTSE All-World ex-US ETF	-0.39%	-4.32%	6.55%	11.14%	24.44%	17.01%	8.69%	9.50%	5.36%
VGIT Vanguard Intermediate-Term Treasury ETF	-0.20%	-0.16%	-0.18%	-0.41%	2.70%	3.60%	-0.11%	1.15%	2.15%
VGPMX Vanguard Global Capital Cycles Fund	-0.48%	-1.81%	6.78%	13.06%	50.10%	26.51%	20.34%	9.25%	6.44%
VPMCX Vanguard PRIMECAP Fund Investor Shares	-1.07%	-5.99%	15.34%	20.44%	43.30%	23.81%	15.20%	16.88%	15.26%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	-0.07%	0.31%	1.84%	1.84%	3.37%	5.12%	3.21%	3.08%	2.22%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Oct 19, 2020, Claude Fable 7-19-26's average daily return is +0.04%, while the average monthly return is +0.81%. At this rate, an investment would double in approximately 7.2 years.

Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +6.6%, while the worst month was Sep 2022 at -5.2%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Claude Fable 7-19-26 closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +4.0%, while the worst single day was Apr 4, 2025 at -3.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.55%	1.77%	-2.99%	4.49%	2.30%	-0.27%	0.04%						7.98%
2025	1.92%	0.84%	-0.98%	-0.23%	2.55%	2.51%	0.54%	2.40%	1.71%	0.85%	1.14%	0.87%	15.00%
2024	0.31%	1.90%	2.37%	-1.79%	2.65%	0.86%	1.86%	1.64%	1.36%	-1.09%	2.19%	-1.88%	10.72%
2023	3.74%	-1.97%	1.61%	1.09%	-1.24%	3.18%	2.24%	-1.14%	-1.99%	-1.38%	4.79%	3.19%	12.45%
2022	-1.56%	-1.00%	0.98%	-3.90%	0.95%	-4.73%	3.55%	-2.40%	-5.21%	4.22%	4.86%	-2.10%	-6.76%
2021	-0.18%	1.98%	2.51%	2.18%	1.35%	0.17%	0.79%	1.14%	-2.14%	2.76%	-1.17%	2.78%	12.74%

Benchmark Metrics

Claude Fable 7-19-26 has an annualized alpha of 3.25%, beta of 0.45, and R2 of 0.90 versus S&P 500 Index. Calculated based on daily prices since October 19, 2020.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (49.44%) than losses (47.54%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 3.25% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.45 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 3.25%

Beta: 0.45

R²: 0.90

Upside Capture: 49.44%

Downside Capture: 47.54%

See how alpha, beta & R² have trended over time →

Expense Ratio

Claude Fable 7-19-26 has an expense ratio of 0.08%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

Top 10 holdings

VGPMX

Vanguard Global Capital Cycles Fund

VPMCX

Vanguard PRIMECAP Fund Investor Shares

JAAA

Janus Henderson AAA CLO ETF

SGOV

iShares 0-3 Month Treasury Bond ETF

VYMI

Vanguard International High Dividend Yield ETF

SCHD

Schwab U.S. Dividend Equity ETF

VTV

Vanguard Value ETF

VEU

Vanguard FTSE All-World ex-US ETF

VCSH

Vanguard Short-Term Corporate Bond ETF

IVV

iShares Core S&P 500 ETF

Return for Risk

Risk / Return Rank

Claude Fable 7-19-26 ranks 89 for risk / return — in the top 89% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Claude Fable 7-19-26 and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.46	1.45	+1.01
Sortino ratioReturn per unit of downside risk	3.53	2.03	+1.51
Omega ratioGain probability vs. loss probability	1.47	1.26	+0.21
Calmar ratioReturn relative to maximum drawdown	3.49	2.01	+1.48
Martin ratioReturn relative to average drawdown	14.66	8.68	+5.98

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
IVV iShares Core S&P 500 ETF	64	1.56	2.17	1.28	2.22	9.59
JAAA Janus Henderson AAA CLO ETF	99	6.19	10.23	2.81	12.79	69.42
SCHD Schwab U.S. Dividend Equity ETF	91	2.34	3.63	1.42	5.59	13.64
SGOV iShares 0-3 Month Treasury Bond ETF	100	20.84	382.82	383.06	390.94	6,193.70
VCSH Vanguard Short-Term Corporate Bond ETF	80	1.94	2.93	1.37	2.67	10.74
VEU Vanguard FTSE All-World ex-US ETF	59	1.47	2.05	1.27	2.15	7.96
VGIT Vanguard Intermediate-Term Treasury ETF	28	0.81	1.22	1.14	0.96	2.37
VGPMX Vanguard Global Capital Cycles Fund	90	2.78	3.42	1.47	3.92	13.66
VPMCX Vanguard PRIMECAP Fund Investor Shares	87	2.35	3.19	1.42	3.72	15.43
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	90	2.16	3.37	1.44	4.74	15.14

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk. Learn how to interpret the Sharpe ratio.

The current Claude Fable 7-19-26 Sharpe ratio is 2.46 as of Jul 21, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.20 to 1.99, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Claude Fable 7-19-26 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Claude Fable 7-19-26 provided a 3.47% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.47%	3.65%	3.63%	3.51%	3.09%	2.32%	1.87%	2.06%	2.25%	1.62%	1.62%	1.42%
Portfolio components:
IVV iShares Core S&P 500 ETF	1.10%	1.17%	1.30%	1.44%	1.66%	1.20%	1.57%	1.85%	2.21%	1.75%	2.01%	2.27%
JAAA Janus Henderson AAA CLO ETF	4.95%	5.30%	6.35%	6.11%	2.74%	1.21%	0.26%	0.00%	0.00%	0.00%	0.00%	0.00%
SCHD Schwab U.S. Dividend Equity ETF	3.20%	3.82%	3.64%	3.49%	3.39%	2.78%	3.16%	2.98%	3.06%	2.63%	2.89%	2.97%
SGOV iShares 0-3 Month Treasury Bond ETF	3.80%	4.10%	5.10%	4.87%	1.45%	0.03%	0.05%	0.00%	0.00%	0.00%	0.00%	0.00%
VCSH Vanguard Short-Term Corporate Bond ETF	4.46%	4.35%	3.96%	3.09%	2.01%	1.81%	2.27%	2.87%	2.65%	2.26%	2.10%	2.08%
VEU Vanguard FTSE All-World ex-US ETF	2.61%	3.09%	3.24%	3.32%	3.12%	3.08%	2.00%	3.10%	3.27%	2.66%	2.96%	2.95%
VGIT Vanguard Intermediate-Term Treasury ETF	3.88%	3.79%	3.67%	2.73%	1.74%	1.69%	2.23%	2.24%	2.05%	1.67%	1.69%	1.69%
VGPMX Vanguard Global Capital Cycles Fund	3.45%	2.59%	2.68%	3.22%	3.27%	3.26%	2.03%	2.39%	3.02%	0.02%	1.72%	2.32%
VPMCX Vanguard PRIMECAP Fund Investor Shares	13.58%	16.36%	6.62%	7.16%	9.85%	10.08%	9.74%	7.15%	8.32%	4.53%	5.05%	5.91%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	4.15%	3.81%	2.70%	2.86%	6.84%	4.68%	1.20%	1.95%	2.45%	1.52%	0.76%	0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Claude Fable 7-19-26. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Claude Fable 7-19-26 was 13.34%, occurring on Sep 30, 2022. Recovery took 198 trading sessions.

The current Claude Fable 7-19-26 drawdown is 0.65%.

Drawdown	Fall	Recovery	Underwater	Related event
-13.34%Sep 2022	8mo 20d	9mo 21d	1y 6moJan 2022 - Jul 2023	Bear market2022
-7.62%Apr 2025	1mo 16d	1mo 5d	2mo 21dFeb 2025 - May 2025	2025 selloff2025
-5.16%Oct 2023	2mo 27d	1mo 4d	4mo 1dAug 2023 - Nov 2023	—
-4.50%Mar 2026	29d	20d	1mo 19dFeb 2026 - Apr 2026	—
-3.46%Aug 2024	19d	14d	1mo 3dJul 2024 - Aug 2024	—

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 12 assets, with an effective number of assets of 8.66, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	1.23	1.20	1.19	1.19

The portfolio has a diversification ratio of 1.19, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

Claude Fable 7-19-26 correlation to the S&P 500 Index

Claude Fable 7-19-26 has a 0.90 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.91
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (All Time) Calculated using the full available price history since Oct 19, 2020	0.93

Benchmark Correlations

Correlation vs. S&P 500 Index. IVV has the highest benchmark correlation at 1.00, while SGOV has the lowest at -0.01.

-0.01

0.08

0.13

0.16

0.28

0.67

0.69

0.69

0.77

0.79

Portfolio Correlations

Correlation vs. Claude Fable 7-19-26. IVV has the highest portfolio correlation at 0.93, while SGOV has the lowest at -0.01.

-0.01

0.15

0.17

0.26

0.38

0.80

0.82

0.87

0.88

0.89

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	SGOV	JAAA	VGIT	VTIP	VCSH	SCHD	VGPMX	VTV	VYMI	VPMCX	IVV	VEU
SGOV	1.00	0.14	0.03	0.02	0.07	-0.02	-0.02	-0.03	-0.03	-0.01	-0.01	-0.02
JAAA	0.14	1.00	0.01	0.03	0.07	0.11	0.10	0.13	0.11	0.10	0.13	0.11
VGIT	0.03	0.01	1.00	0.63	0.88	0.05	0.11	0.05	0.13	0.06	0.08	0.15
VTIP	0.02	0.03	0.63	1.00	0.63	0.17	0.24	0.16	0.21	0.13	0.16	0.20
VCSH	0.07	0.07	0.88	0.63	1.00	0.22	0.27	0.23	0.31	0.26	0.28	0.34
SCHD	-0.02	0.11	0.05	0.17	0.22	1.00	0.62	0.92	0.67	0.66	0.69	0.61
VGPMX	-0.02	0.10	0.11	0.24	0.27	0.62	1.00	0.69	0.86	0.69	0.67	0.85
VTV	-0.03	0.13	0.05	0.16	0.23	0.92	0.69	1.00	0.74	0.77	0.79	0.70
VYMI	-0.03	0.11	0.13	0.21	0.31	0.67	0.86	0.74	1.00	0.70	0.69	0.94
VPMCX	-0.01	0.10	0.06	0.13	0.26	0.66	0.69	0.77	0.70	1.00	0.92	0.80
IVV	-0.01	0.13	0.08	0.16	0.28	0.69	0.67	0.79	0.69	0.92	1.00	0.77
VEU	-0.02	0.11	0.15	0.20	0.34	0.61	0.85	0.70	0.94	0.80	0.77	1.00

The correlation results are calculated based on daily price changes starting from Oct 19, 2020

Diversification Analysis

Find what Claude Fable 7-19-26 is missing

See which holdings overlap, where Claude Fable 7-19-26 is concentrated, and which low-correlation assets could fill the gaps.

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